52 citations · 106 across the 11 of their papers we have counts for
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q-fin.ST2026
Extreme Value Analysis for Finite, Multivariate and Correlated Systems with Finance as an Example
Benjamin Köhler, Anton J. Heckens, Thomas Guhr
Extreme values and the tail behavior of probability distributions are essential for quantifying and mitigating risk in complex systems of all kinds. In multivariate settings, accou…
q-fin.ST2024★ 2 cited
Multivariate Distributions in Non-Stationary Complex Systems I: Random Matrix Model and Formulae for Data Analysis
Efstratios Manolakis, Anton J. Heckens, Benjamin Köhler +1
Risk assessment for rare events is essential for understanding systemic stability in complex systems. As rare events are typically highly correlated, it is important to study heavy…